Pricing Valuation Analyst recruitment
Responsibilities
To work with an experienced Team of analysts to resolve derivatives pricing queries and create a pro-active problem solving environment.
To assist with the accurate and timely delivery of the independent valuation of Clients’ OTC Derivatives.
To investigate and resolve valuation issues between independent vendor and Client / Investment Manager derivatives prices.
To strengthen and support existing procedures and methodologies to ensure a supremely efficient independent valuation unit.
To ensure the accurate valuation of Client held derivatives via Calypso valuation software:
To include –
The documentation and implementation of the Calypso derivatives valuation workflow, from Client Order Management System, Middle Office to downstream accounting / collateral management systems.
The documentation of daily Calypso operating and valuation procedures, to ensure the integrity and consistency of all of our clients in-sourced derivatives valuations.
The daily production of Calypso generated derivatives valuations, their dispersal to downstream systems and investigation / resolution of valuation differences.
Maintenance of the Calypso valuation workflow, to include system monitoring, pricing environment and market data maintenance, trade capture, and reporting.
Production of data tolerance reviews and exception reports within Calypso.
The review and validation of Calypso valuation models and risk measures within the system.
Requirements
An in-depth working knowledge and professional experience of OTC derivatives and their valuation.
An in-depth knowledge and professional experience of Calypso Technologies Inc. derivatives valuation software.
First rate understanding and professional experience of cross asset class derivative valuation models.
Working knowledge and experience of downstream accounting systems, such as Advent Geneva / Multifonds.
Knowledge of and experience with centralised clearing systems such as DTCC, Swapswire, Markitwire.
Professional experience in derivatives valuation, using independent OTC valuation providers, such as Markit / SuperDerivatives.
Sound Middle and Back Office derivatives processing experience, to include client Order Management Systems, Middle Office Monitoring systems, Settlements, Custodian Funding, and Collateral Management.
Experience
6-7 years professional experience in the valuation of derivatives, either at an Administrator, Bank or Hedge Fund.
Very High degree of numerical and analytical ability
Ability to work to deadlines
Ability to act independently
High level of computer literacy
Strong communicative and interpersonal ability
Qualifications
Higher Level / Professional Qualification
Preferred Disciplines: Mathematics / Finance / Statistics
B.S - Master in Quantitative Finance or Technical field
Strong Qualitative Analysis Skills
Sound Business Analysis Skills
First rate Communication Skills